An agent strategy for automated stock market trading combining price and order book information

Gheorghe Cosmin Silaghi; Valentin Robu

doi:10.1109/cima.2005.1662356

An agent strategy for automated stock market trading combining price and order book information

Gheorghe Cosmin Silaghi, Valentin Robu

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific › peer-review

5 Citations (Scopus)

Abstract

This paper proposes a novel automated agent strategy for stock market trading, developed in the context of the Penn-Lehman Automated Trading (PLAT) simulation platform [1]. We provide a comprehensive experimental validation of our strategy using historic order book data from the NASDAQ market.

Original language	English
Title of host publication	2005 ICSC Congress on Computational Intelligence Methods and Applications
Publisher	IEEE
ISBN (Print)	1424400201, 9781424400201
DOIs	https://doi.org/10.1109/cima.2005.1662356
Publication status	Published - 1 Jan 2005
Externally published	Yes
Event	2005 ICSC Congress on Computational Intelligence Methods and Applications - Istanbul, Turkey Duration: 15 Dec 2005 → 17 Dec 2005

Publication series

Name	2005 ICSC Congress on Computational Intelligence Methods and Applications
Volume	2005

Conference

Conference	2005 ICSC Congress on Computational Intelligence Methods and Applications
Country	Turkey
City	Istanbul
Period	15/12/05 → 17/12/05

Access to Document

10.1109/cima.2005.1662356

Link to publication in Scopus

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Cite this

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title = "An agent strategy for automated stock market trading combining price and order book information",

abstract = "This paper proposes a novel automated agent strategy for stock market trading, developed in the context of the Penn-Lehman Automated Trading (PLAT) simulation platform [1]. We provide a comprehensive experimental validation of our strategy using historic order book data from the NASDAQ market.",

author = "Silaghi, {Gheorghe Cosmin} and Valentin Robu",

year = "2005",

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doi = "10.1109/cima.2005.1662356",

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series = "2005 ICSC Congress on Computational Intelligence Methods and Applications",

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note = "2005 ICSC Congress on Computational Intelligence Methods and Applications ; Conference date: 15-12-2005 Through 17-12-2005",

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Silaghi, GC & Robu, V 2005, An agent strategy for automated stock market trading combining price and order book information. in 2005 ICSC Congress on Computational Intelligence Methods and Applications., 1662356, 2005 ICSC Congress on Computational Intelligence Methods and Applications, vol. 2005, IEEE , 2005 ICSC Congress on Computational Intelligence Methods and Applications, Istanbul, Turkey, 15/12/05. https://doi.org/10.1109/cima.2005.1662356

An agent strategy for automated stock market trading combining price and order book information. / Silaghi, Gheorghe Cosmin; Robu, Valentin.

2005 ICSC Congress on Computational Intelligence Methods and Applications. IEEE , 2005. 1662356 (2005 ICSC Congress on Computational Intelligence Methods and Applications; Vol. 2005).

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific › peer-review

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